Another view of the CLT in Banach spaces (Q960187)
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English | Another view of the CLT in Banach spaces |
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Another view of the CLT in Banach spaces (English)
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16 December 2008
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The paper under review gives an extensive and elegant study of the central limit theorem (CLT) in Banach spaces when original data are allowed slight modifications. Let \(X\) be a random variable taking values in a separable Banach space \(B\) with distribution \(p\) and such that \(Ef(X)= 0\), \(Ef^2(X)<\infty\) for every linear functional \(f\) on \(B\). Then there is a Hilbert space \(H_\mu\) determined by the covariance of \(\mu\) such that \(H_\mu\subset B\). Furthermore, for all \(\varepsilon> 0\) and \(x\) in the \(B\)-norm closure \(\overline H_\mu\) of \(H_\mu\), there is a unique point, \(T_\varepsilon(x)\in H_\mu\), with minimal \(H_\mu\)-norm in the \(B\)-norm ball of radius \(\varepsilon\) and center \(x\). In a variety of settings there are obtained CLTs for \(T_\varepsilon(X)\) and its certain further modifications, even when \(X\) itself fails CLT. The motivation for the use of \(T_\varepsilon\) comes from the large deviation rates for Gaussian measures. One of the results provides a general and universal improvement in the CLT. It states that under the above assumptions if \(\overline H_\mu= B\) and \(\mu\) has weak-star sequentially continuous covariance function then \(T_{\psi(\varepsilon)(\| T_\varepsilon(X)\|_\mu\vee 1)}(T_\varepsilon(X))\) satisfies CLT for every \(\varepsilon> 0\) and every increasing continuous function \(\psi\) with \(\psi(0)= 0\) and \(\psi(t)\leq t\) on \([0,\infty)\). Here \(\|\cdot\|_\mu\) denotes \(H_\mu\)-norm. In particular, when \(E\| X\|^2<\infty\) then the above theorem applies. Several examples involving \(B\)-valued random series show, among others, that the assumptions in the above theorem are close to being necessary.
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central limit theorem
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Banach space
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minimal mapping
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large deviation rate
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random series
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sub-Gaussian
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